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The volatility (sigma) of a stock is 52% per annum. We will model stock-price movements using a Binomial tree, where each branch of the tree
The volatility (sigma) of a stock is 52% per annum.
We will model stock-price movements using a Binomial tree, where each branch of the tree has a step length (delta t) of 5 months.
Calculate the proportion down movement (d) that applies to each branch of the tree.
Your answer should have at least two decimal places.
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